There are quite a few (different) resources out there for shooting tethered and I thought I would combine them all here in one spot for easy reference.
If you shoot Canon it's really pretty simply, you can use the FREE EOS utility for shooting tethered (Windows manual here, Mac manual here).
My friend Jason Anderson over at Canon Blogger has a well done tutorial on Shooting Tethered with Canon Gear that you should check out.
It's not quite so simple for us Nikon folks.
Nikon shooters can use Camera Control Pro, but it's not free (though you can download a free 30 day trial here), so let's explore a few free options.
StudioTether is a free application that (as the name implies) will allow you to tether your Nikon camera to your Mac (no Windows version is available).
A free Windows option is from DiyPhotoBits.com, they offer a free tethered shooting script for Nikon Cameras (Windows only), you can get the latest version here.
Another Mac tethered option for Nikon shooters is Sofortbild, and it too is free. Keep an eye on their blog for announcements and updates.
And finally, if you want to check out Joe McNally's rig for shooting tethered check it out here.